CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	31
αARCH	0.4718	25.26***
βGARCH	0.7596	94.12***
γleverage	-0.4718	-24.73***
λ₁tau intercept	3.7568	3.94***
λ₂forecast adj.	0.5008	4.85***
λ₃tau persistence	0.3920	3.16***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.4718	25.26***
β GARCH Volatility persistence	0.7596	94.12***
γ leverage Additional response to negative shocks	-0.4718	-24.73***
λ₁ tau intercept Baseline long-term coefficient	3.7568	3.94***
λ₂ forecast adj. Forecast performance sensitivity	0.5008	4.85***
λ₃ tau persistence Long-term factor persistence	0.3920	3.16***

V-Lab

T-Rex 2X Long TTD DY TGT ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other T-Rex 2X Long TTD DY TGT ETF Analyses